1. Field of the Invention
The subject invention is directed to financial portfolio management, and more particularly, to a computer-based system and method for analyzing fixed income securities based on user-defined pricing methodologies.
2. Background of the Related Art
Portfolio managers perform risk analysis on fixed income securities to measure or estimate the exposure of particular securities to certain risk factors such as interest rates, credit spreads, prepayment speeds, volatility and other composite variables. This enables a portfolio manger to balance or aggregate risk across an entire portfolio.
To measure the risk of a security it must first be priced. For example, fixed income securities such as corporate or agency bonds can be priced relative to a spread over a specified yield curve or relative to a certain benchmark. Similarly, mortgage-backed security can be priced based upon a particular prepayment model with a specified prepayment speed.
In the past, the pricing of a fixed income security was done by programming an analytical processor with a specific formula designed to perform a desired pricing calculation on the security. This method of pricing a security to measure risk is time consuming and laborious. It would be beneficial therefore, to provide a computer-based system and method for effectively and efficiently designating a pricing method for a fixed income security utilizing a compact character string input into a data field in a graphical user interface.